exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover … robust positive risk-return relations for many cross-sectional risk proxies, including low-risk and distress anomalies. We … arising from empirical failures of standard pricing models, and show empirical risk-return relations supporting rational …

on the state of the economy. I show that a conditional model with investors' beliefs and an uncertainty risk factor is … risk factor retains its incremental explanatory power when compared to other conditional models such as the conditional …

during the volatile period, this risk, has a substantial impact on currency returns. The empirical results show that the two …

. Unlike the U.S. market, though, the information contained in the KS risk factor of these international markets does not …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

This paper examines the momentum effect and its causes, the persistence in default risk change in particular, in both … can be attributed to compensation for bearing a varying default risk and term risk. This paper shows that the change in … controlling for risk characteristics such as duration and yield-to-maturity.This paper also documents the integration of the …

sources of cross sectional risk. I also revisit concerns raised by King (1966) and Black, Jensen, and Scholes (1972) regarding …-factor models generally produce almost no discernible covariance of residual terms and do allow for the estimation of individual …

We test whether asymmetric preferences for losses versus gains affect the prices of cash flow versus discount rate risk ….S. data we find that downside cash flow and discount rate betas carry the largest premia. Downside cash flow risk is priced … compensated for symmetric cash flow related risk.This Version Contains the Online Appendix as Well …